Professor
Research Head - Finance Department
Fixed income
Derivatives
Commodities
Asset management
Asset pricing
Commodities
Equities
PhD in Finance
Brunel University, Great Britain (1998)
MSc in Finance
Brunel University, Great Britain (1994)
Master in Management
ESLSCA, France (1993)
Academic Experience
Research Head - Finance Department
Audencia Business School, France,
Since 2019
Professor of Finance
EDHEC Business School, France,
2008 - 2017
Associate Professor of Finance
EDHEC Business School, France,
2007 - 2008
Visiting Assistant Professor of Finance
UTS, Australia,
2001 - 2002
Associate and Assistant Professor in Finance
Cass Business School, Great Britain,
2000 - 2006
Assistant Professor of Finance
ICMA Centre, Great Britain,
1999 - 2001
Research Fellow and Teaching Assistant
ICMA Centre, Great Britain,
1998 - 1999
Research and Teaching Assistant, Research Fellow
Brunel University, Great Britain,
1994 - 1998
2020
FERNANDEZ-PEREZ, A., FUERTES, A., GONZALEZ-FERNANDEZ, M., MIFFRE, J. (2020) . Fear of hazards in commodity futures markets, Journal of Banking and Finance, 119 (October 2020), Article n° 105902
FAN, J., FERNANDEZ-PEREZ, A., FUERTES, A., MIFFRE, J. (2020) . Speculative pressure, Journal of Futures Markets, 40 (4), 575–597
RAD, H., LOW, R., MIFFRE, J., FAFF, R. (2020) . Does sophistication of the weighting scheme enhance the performance of long-short commodity portfolios?, Journal of Empirical Finance, 58 (September 2020), 164-180
2019
FERNANDEZ-PEREZ, A., FUERTES, A., MIFFRE, J. (2019) . A comprehensive appraisal of style-integration methods, Journal of Banking and Finance, 105 134-150
2018
FERNANDEZ-PEREZ, A., FRIJNS, B., FUERTES, A., MIFFRE, J. (2018) . The skewness of commodity futures returns, Journal of Banking and Finance, 86 143-158
2017
FERNANDEZ-PEREZ, A., FUERTES, A., MIFFRE, J. (2017) . Commodity markets, long-horizon predictability and intertemporal pricing, Review of Finance, 21 (3), 1159-1188
2016
BROOKS, C., FERNANDEZ-PEREZ, A., MIFFRE, J., NNEJI, O. (2016) . Commodity risks and the cross-section of equity returns, British Accounting Review, 48 134-150
MIFFRE, J. (2016) . Long-short commodity investing: A review of the literature, Journal of Commodity Markets, 1 3-13
FERNANDEZ-PEREZ, A., FUERTES, A., MIFFRE, J. (2016) . Is idiosyncratic volatility priced in commodity futures markets?, International Review of Financial Analysis, 46 219-226
2015
FERNANDEZ-PEREZ, A., MIFFRE, J. (2015) . The case for long-short commodity investing, Journal of Alternative Investments, 18 92-104
FERNANDEZ-PEREZ, A., FUERTES, A., MIFFRE, J. (2015) . Commodity strategies based on momentum, term structure and idiosyncratic volatility, Journal of Futures Markets, 35 274-297
2013
BASU, D., MIFFRE, J. (2013) . The performance of simple dynamic commodity strategies, Journal of Alternative Investments, 16 9-18
FUERTES, A., MIFFRE, J., RALLIS, G. (2013) . Strategic and tactical roles of enhanced commodity indices, Journal of Futures Markets, 33 965-992
BROOKS, C., MIFFRE, J. (2013) . Do long-short speculators destabilize commodity futures markets?, International Review of Financial Analysis, 30 230-240
BROOKS, C., LI, X., MIFFRE, J. (2013) . Idiosyncratic volatility and the pricing of poorly-diversified portfolios, International Review of Financial Analysis, 30 78-85
BASU, D., MIFFRE, J. (2013) . Capturing the risk premium of commodity futures: The role of hedging pressure, Journal of Banking and Finance, 37 2652-2664
2012
BROOKS, C., CERNY, A., MIFFRE, J. (2012) . Optimal hedging with higher moments, Journal of Futures Markets, 32 909-944
2010
FUERTES, A., MIFFRE, J., RALLIS, G. (2010) . Tactical allocation in commodity futures markets: Combining momentum and term structure signals, Journal of Banking and Finance, 34 2530-2548
BROOKS, C., LI, X., MIFFRE, J. (2010) . Transaction costs, trading volume and momentum strategies, The Journal of Trading, 5 66-81
CHONG, J., MIFFRE, J. (2010) . Conditional correlation and volatility in commodity futures and traditional asset markets, Journal of Alternative Investments, 12 61-75
2009
BROOKS, C., LI, X., MIFFRE, J. (2009) . The value premium and time-varying volatility, Journal of Business Finance and Accounting, 36 1252-1272
CHONG, J., MIFFRE, J., STEVENSON, S. (2009) . Conditional correlations and real estate investment trusts, Journal of Real Estate Portfolio Management, 15 173-184
FUERTES, A., MIFFRE, J., TAN, W. (2009) . Momentum profits, non-normality risks and the business cycle, Applied Financial Economics, 19 935-953
BROOKS, C., LI, X., MIFFRE, J. (2009) . Low-cost momentum strategies, Journal of Asset Management, 9 366-379
2008
MIFFRE, J. (2008) . Conditional risk premia in international government bond markets, Multinational Finance Journal, 12 185-204
BROOKS, C., LI, X., MIFFRE, J., O' SULLIVAN, N. (2008) . Momentum profits and time-varying unsystematic risk, Journal of Banking and Finance, 32 541-558
KAT, H., MIFFRE, J. (2008) . The impact of non-normality risks and tactical trading on hedge fund alphas, Journal of Alternative Investments, 10 8-22
2007
MIFFRE, J., RALLIS, G. (2007) . Momentum strategies in commodity futures markets, Journal of Banking and Finance, 31 1863-1886
MIFFRE, J. (2007) . Country-specific ETFs: An efficient approach to global asset allocation, Journal of Asset Management, 8 112-122
2004
MIFFRE, J. (2004) . The conditional price of basis risk: An investigation using foreign exchange instruments, Journal of Business Finance and Accounting, 31 1046-1068
MIFFRE, J. (2004) . Conditional OLS minimum variance hedge ratios, Journal of Futures Markets, 24 945-964
2003
MIFFRE, J. (2003) . The cross section of expected futures returns and the Keynesian hypothesis, Applied Financial Economics, 13 731-739
2002
MIFFRE, J. (2002) . The predictability of futures returns: Market inefficiency or rational change in required returns?, Applied Financial Economics, 12 715-724
MIFFRE, J. (2002) . Portfolio beta under market segmentation, Derivatives Use, Trading and Regulation, 8 159-168
MIFFRE, J. (2002) . Economic significance of the predictable movements in futures returns, Economic Notes, 31 125-142
2001
MIFFRE, J. (2001) . Efficiency in the pricing of the FTSE100 futures contract, European Financial Management, 7 9-22
MIFFRE, J. (2001) . Economic activity and time variation in expected futures returns, Economics Letters, 73 73-79
2000
MIFFRE, J., PRIESTLEY, R. (2000) . Sources of systematic risk in futures and spot markets: A study of market integration, Journal of Business Finance and Accounting, 27 933-952
MIFFRE, J. (2000) . Normal backwardation is normal, Journal of Futures Markets, 20 803-821
1995
MIFFRE, J., CLARE, A. (1995) . A note on forecasting the CAC 40 and DAX stock index futures, Applied Economics Letters, 2 327-330
MIFFRE, J. (2020). UBS, Risk Premia Carries on. Conference, Integrating commodity styles.
FAN, J., FERNANDEZ-PEREZ, A., FUERTES, A.-M., MIFFRE, J. (2019). Speculative pressure. Financial Engineering and Banking Society conference.
FAN, J., FERNANDEZ-PEREZ, A., FUERTES, A.-M., MIFFRE, J. (2019). Speculative pressure. Conference on Computational and Financial Econometrics.
FERNANDEZ-PEREZ, A., FUERTES, A.-M., & MIFFRE, J. (2018). Harvesting commodity styles: An integrated framework., Commodity Markets Winter Workshop, Audencia Business School.
FERNANDEZ-PEREZ, A., FUERTES, A.-M., & MIFFRE, J. (2018). Harvesting commodity styles: An integrated framework., Frontiers of Factor Investing, Lancaster University Business School.
FAN, J., FERNANDEZ-PEREZ, A., FUERTES, A.-M., MIFFRE, J. (2018). Speculative pressure. PanoRisk conference, Audencia Business School.
FERNANDEZ-PEREZ, A., FUERTES, A.-M., & MIFFRE, J. (2017). Harvesting commodity styles: An integrated framework., PanoRisk conference.
MIFFRE, J. (2017). What does the future hold for commodity risk premia investing?. Barclays European Quantitative Investment Strategies Conference.
FERNANDEZ-PEREZ, A., FUERTES, A.-M., MIFFRE, J. (2018). Harvesting commodity styles: A flexible integration framework,. Global Commodities Applied Research Digest, J.P. Morgan Center for Commodities.
FERNANDEZ-PEREZ, A., FRIJNS, B., FUERTES, A.-M., & MIFFRE, J. (2017). The skewness of commodity futures returns, Global Commodities Applied Research Digest, J.P. Morgan Center for Commodities.
FERNANDEZ-PEREZ, A., FUERTES, A.-M., MIFFRE, J. (2017). Is idiosyncratic volatility priced in commodity futures markets?,. Global Commodities Applied Research Digest, Spring 2017, 2, 1.
Associate Editor :
Reviewer for an academic journal :
Reviewer for a scientific conference :
Thesis director
2010 - 2015,
B. Kandavel : Short-term nodal trading in electricity markets
EDHEC Business School, France
Thesis co-director
R. Zhang : Commodities
Griffith Business School, Australia
H. Rad : Commodities
University of Queensland Business School, Australia
2008 - 2014,
H. Lei : Exchange traded funds
Cass Business School, Great Britain
2005 - 2011,
G. Rallis : Commodity trading strategies
Cass Business School, Great Britain
2004 - 2008,
X. Li : Momentum and value strategies
Cass Business School, Great Britain
Thesis Jury Member
M. REFERMAT : Liquidity in Futures Markets
EDHEC Business School,
P.-S. YU : The Financial and Environmental Performance of Firms Exposed to the EU Emissions Trading Scheme
ICMA Centre,
J. O’BRIEN : Time Series Momentum Theory and Practice
Cork University Business School,
T. FRETHEIM : Four Essays on Commodity Price Dynamics and Risk
Norwegian University of Life Sciences,
M. YAHYA : An Analysis of Temporal and Spectral Connectedness and Spillover in Commodity Markets
University of Stavanger, Norway